Hi, I am Jace. This my final project of
Topics in Quantitative Finance
in Summer 2020, taught by Taiho Wang, a visiting professor in NSD PKU where I studied Economics dual becaler's degree and professor in Baruch College, the City University of New York
All work and comment is in the graded(93/100) report, in which we implmented the pricing formulas in Heston model and conduceted calibration the Heston model to market data from scratch, mostly using scipy
and numpy
.